Create Pandas dataframe with list as values in rows

simple

pd.DataFrame(
    [[[1, 2, 3, 4], [2, 3, 4, 5], [4, 5, 5, 6], [6, 3, 4, 5]],
     [[2, 3, 5, 6], [3, 4, 6, 6], [3, 4, 5, 7], [2, 6, 3, 4]],
     [[8, 9, 6, 7], [5, 7, 9, 5], [3, 7, 9, 5], [5, 7, 9, 8]]],
    columns=list('ABCD')
)

Or

build a Series with a MultiIndex and unstack

lst = [
    [1, 2, 3, 4],
    [2, 3, 4, 5],
    [4, 5, 5, 6],
    [6, 3, 4, 5],
    [2, 3, 5, 6],
    [3, 4, 6, 6],
    [3, 4, 5, 7],
    [2, 6, 3, 4],
    [8, 9, 6, 7],
    [5, 7, 9, 5],
    [3, 7, 9, 5],
    [5, 7, 9, 8]]

pd.Series(lst, pd.MultiIndex.from_product([[0, 1, 2], list('ABCD')])).unstack()

              A             B             C             D
0  [1, 2, 3, 4]  [2, 3, 4, 5]  [4, 5, 5, 6]  [6, 3, 4, 5]
1  [2, 3, 5, 6]  [3, 4, 6, 6]  [3, 4, 5, 7]  [2, 6, 3, 4]
2  [8, 9, 6, 7]  [5, 7, 9, 5]  [3, 7, 9, 5]  [5, 7, 9, 8]